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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_heston_model.html">HestonModel</a></div>
<h1>HestonModel Class Reference</h1><!-- doxytag: class="QuantLib::HestonModel" --><!-- doxytag: inherits="QuantLib::CalibratedModel" --><code>#include <ql/models/equity/hestonmodel.hpp></code>
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Inheritance diagram for HestonModel:</div>
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<p><center><img src="class_quant_lib_1_1_heston_model__inherit__graph.png" border="0" usemap="#_heston_model__inherit__map" alt="Inheritance graph"></center>
<map name="_heston_model__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_bates_model.html" title="Bates stochastic-volatility model." alt="" coords="20,161,116,188"><area shape="rect" href="class_quant_lib_1_1_calibrated_model.html" title="Calibrated model class." alt="" coords="5,7,131,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
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<a href="class_quant_lib_1_1_heston_model-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Heston model for the stochastic volatility of an asset.
<p>
References:<p>
Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to <a class="el" href="class_quant_lib_1_1_bond.html" title="Base bond class.">Bond</a> and <a class="el" href="class_quant_lib_1_1_currency.html" title="Currency specification">Currency</a> Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.<p>
<dl compact><dt><b><a class="el" href="test.html#_test000072">Tests:</a></b></dt><dd>calibration is tested against known good values. </dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e97050524301ec4c399a197e447dbd4f"></a><!-- doxytag: member="QuantLib::HestonModel::HestonModel" ref="e97050524301ec4c399a197e447dbd4f" args="(const boost::shared_ptr< HestonProcess > &process)" -->
</td><td class="memItemRight" valign="bottom"><b>HestonModel</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > &process)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7a00901daf5bbc66f00e4772cbe0c98f"></a><!-- doxytag: member="QuantLib::HestonModel::theta" ref="7a00901daf5bbc66f00e4772cbe0c98f" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="925b952838ecbba1d743cab564c69dc9"></a><!-- doxytag: member="QuantLib::HestonModel::kappa" ref="925b952838ecbba1d743cab564c69dc9" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>kappa</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="78bca11664a7d403bde6a9842f72ae61"></a><!-- doxytag: member="QuantLib::HestonModel::sigma" ref="78bca11664a7d403bde6a9842f72ae61" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9e74bed9ddc465f1211381d725c945bb"></a><!-- doxytag: member="QuantLib::HestonModel::rho" ref="9e74bed9ddc465f1211381d725c945bb" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rho</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="30fd40988a93faccca807dd016f8c5e3"></a><!-- doxytag: member="QuantLib::HestonModel::v0" ref="30fd40988a93faccca807dd016f8c5e3" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>v0</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="57e932938bc12589eb93ad22a7402d2e"></a><!-- doxytag: member="QuantLib::HestonModel::process" ref="57e932938bc12589eb93ad22a7402d2e" args="() const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4d8a7e8e132cf1dd8d1d9eac02f2bfae"></a><!-- doxytag: member="QuantLib::HestonModel::generateArguments" ref="4d8a7e8e132cf1dd8d1d9eac02f2bfae" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="913c0bb126440b8eebb19cb20ed021a2"></a><!-- doxytag: member="QuantLib::HestonModel::process_" ref="913c0bb126440b8eebb19cb20ed021a2" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
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